The Journal of Portfolio Management, Summer 2018
绩效费用的比较分析
作者：Megan Czasonis (Massachusetts Institute of Technology (MIT) - Sloan School of Management)
Mark Kritzman (Massachusetts Institute of Technology (MIT) - Sloan School of Management)
Baykan Pamir (Massachusetts Institute of Technology (MIT) - Sloan School of Management)
David Turkington (Massachusetts Institute of Technology (MIT) - Sloan School of Management)
摘要：许多投资者向他们的基金经理支付的费用中包括基础部分（基金资产的固定百分比）和业绩部分（根据基金业绩而定的可变金额）。这些费用安排通常称为绩效费用，而不包括可变部分的费用安排称为固定费用。本文中，作者提供了对扣除管理费后投资回报率的全面先验比较分析，包括费用结构的广泛特征、管理人员的表现和投资者的偏好。由于这些特征的相互作用很复杂且通常很微妙，因此作者不能仅根据扣除管理费后投资收益的均值和离散度，或是根据费用的隐含期权价值来充分评估扣除管理费后的业绩表现。相反，他们采用模拟的方法来生成扣除管理费后业绩表现的先验分布分布，并使用这些分布的确定性等价来比较可选择的费用安排。
A Comparative Analysis of Performance Fees
Megan Czasonis (Massachusetts Institute of Technology (MIT) - Sloan School of Management), Mark Kritzman (Massachusetts Institute of Technology (MIT) - Sloan School of Management), Baykan Pamir (Massachusetts Institute of Technology (MIT) - Sloan School of Management), David Turkington (Massachusetts Institute of Technology (MIT) - Sloan School of Management)
ABSTRACT
Many investors pay their investment managers fees that include a base component, which is a fixed percentage amount of the fund’s assets, and a performance component, which is a variable amount that is contingent on the performance of the fund. These fee arrangements are typically referred to as performance fees, whereas fee arrangements that do not include a variable component are referred to as flat fees. In this article, the authors provide a comprehensive, ex ante comparative analysis of returns net of fees, taking into account a wide range of features in the structure of the fees, the performance of the managers, and the preferences of the investor. Because the interaction of these features is complex and often subtle, the authors cannot adequately evaluate after-fee performance based simply on the mean and dispersion of the after-fee return nor on the implied option value of the fee. Instead, they employ simulation to produce ex ante distributions of after-fee performance and use the certainty equivalents of these distributions to compare alternative fee arrangements.
原文链接：http://jpm.iijournals.com/content/44/7/75.full
翻译：吕越
